SCHOOL OF BUSINESS ADMINISTRATION
The Impact of Exogenous Macro Economic Events on Flyer Fund Stock and Sector Returns STUDENTS Eric T Flanigan ADVISORS Robert D. Dean, Leslie S Mundew LOCATION, TIME RecPlex, 9:00AM-10:30AM School of Business Administration: Davis Center for Portfolio Management, Poster- Independent Research A number of academic studies have shown that markets can be “shocked” by macro economic events. A sudden rise in inflation, interest rates, oil prices, just to name a few, can have a material effect on stock prices.In the study we use Bloomberg’s Market Factor Model to determine the impact on stock and sector returns for the U.D. Flyer Fund. The Market Factor Model can identify response functions i.e. Betas between S&P 500 stocks and an exogenous variable like interest rates. We will study the impact of rising market volatility (VIX), rising interest rates (10 Yr T-Note) and oil prices on Flyer Fund stocks and S&P 500 sectors. Since the Flyer Fund sector weights are usually different from the S&P 500 sector weights, we can determine if the Flyer Fund sector allocation strategy creates alpha. Moreover because the impact on individual stocks can be compared to the sector impacts, we can also determine whether our stock selection strategy creates alpha. It is hoped the study will help to improve the weightings of sectors and the selection of stocks in the UD Flyer Fund.
Revenue Momentum and Stock Price Movements for Flyer Fund Stocks; A Short Run Analysis
STUDENTS Thomas Michael Campbell, Bryan E Thomas ADVISORS Trevor C Collier, Robert D. Dean LOCATION, TIME RecPlex, 11:00AM-12:30PM School of Business Administration: Davis Center for Portfolio Management, Poster- Graduate Research Many investment managers look for momentum in top line revenue growth to determine if they want to purchase a particular stock or a group of stocks. In this study, we looked at the last eight quarters of revenue data for 30 stocks currently in the Flyer Fund and determine their compound quarterly growth rate (COGR) for 4 quarters and 8 quarters of data. Using Bloomberg’s database, our timeline is from August 31, 2011 through August 31,2013.Using cross sectional regression analysis we regressed the 4 quarter and 8 quarter CQGR’s on the compound quarterly growth rate on price (CQGP) for each stock. We also took the rate of 4 quarter CQGR to the 8 quarter CQGR and regressed it on the value of the 4 quarter CQGP to the 8 quarter CQGP. The hypotheses to be tested is that stock price movements are directly related to the momentum levels of company revenues.
The Davis Center for Portfolio Management: Economic Outlook - Spring 2014
STUDENTS Samuel W Orman ADVISORS Trevor C Collier, Robert D. Dean LOCATION, TIME Miriam Hall 118 - Davis Center, 2:20PM-3:20PM School of Business Administration: Davis Center for Portfolio Management, Oral Presentation- Course Project, 14 SP FIN 493 P1 The Davis Center for Portfolio Management is a long-only equity fund that is valued at $18,000,000. It invests in companies that fit a certain criteria and is 100% part of the University’s endowment. As part of the investment process, two students create the Economic Outlook. The outlook that will be presented will go over the student’s views for 2014 in areas including: domestic, international, and S&P sector outlooks.
An Empirical Study of the Relationship Between Stock Market Price Movements and Macro Financial Conditions,2001-2013
STUDENTS Brandon M Capicotto ADVISORS Trevor C Collier, Robert D. Dean LOCATION, TIME RecPlex, 9:00AM-10:30AM School of Business Administration: Economics and Finance, Poster- Independent Research Since the early 90’s, a number of financial condition indexes have been developed to determine future movementsin the non-financial sectors of the economy. In this study, I use the Kansas City Federal Reserve’s index of financial Stress (KCFSI) to study the relationship between market and sector price movements and macro financial conditions. The periods of analysis are :(1)2001-2012), (2) 2003-2007,(3) 2009-2012). The long run period includes two recessions and two sustained periods of economic growth. The two short run periods represent economic rebound periods 85